Search Results - subject:"Algorithmic differentiation"

Subdomain separability in global optimization

Deussen, Jens; Naumann, Uwe - In: Journal of Global Optimization 86 (2022) 3, pp. 573-588

utilize interval derivatives calculated by adjoint algorithmic differentiation to examine the monotonicity of the objective …

Persistent link: https://www.econbiz.de/10015194318

15 years of Adjoint Algorithmic Differentiation (AAD) in finance

Capriotti, Luca; Giles, Mike - In: Quantitative finance 24 (2024) 9, pp. 1353-1379

Persistent link: https://www.econbiz.de/10015196929

Second-order Monte Carlo sensitivities

Daluiso, Roberto - In: The journal of computational finance 23 (2020) 4, pp. 61-91

Persistent link: https://www.econbiz.de/10012212482

Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)

Fries, Christian - In: The journal of computational finance 22 (2018/2019) 4, pp. 103-125

Persistent link: https://www.econbiz.de/10012042220

Algorithmic differentiation for discontinuous payoffs

Daluiso, Roberto; Facchinetti, Giorgio - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41

Persistent link: https://www.econbiz.de/10011891863

Adjoint algorithmic differentiation tool support for typical numerical patterns in computational finance

Naumann, Uwe; Du Toit, Jacques - In: The journal of computational finance 21 (2017/2018) 4, pp. 23-57

Persistent link: https://www.econbiz.de/10011848395

Real-time risk management : an AAD-PDE approach

Capriotti, Luca; Jiang, Yupeng; Macrina, Andrea - In: International journal of financial engineering 2 (2015) 4, pp. 1-31

Persistent link: https://www.econbiz.de/10011493204

Adaptive sequencing of primal, dual, and design steps in simulation based optimization

Bosse, Torsten; Lehmann, Lutz; Griewank, Andreas - In: Computational Optimization and Applications 57 (2014) 3, pp. 731-760

Many researchers have used Oneshot optimization methods based on user-specified primal state iterations, the corresponding adjoint iterations, and appropriately preconditioned design steps. Our goal here is to develop heuristics for sequencing these three subtasks, in order to optimize the...

Persistent link: https://www.econbiz.de/10010896553